Essays on Financial and Economic Risks PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Essays on Financial and Economic Risks PDF full book. Access full book title Essays on Financial and Economic Risks by Tengdong Liu. Download full books in PDF and EPUB format.
Author: Tengdong Liu Publisher: ISBN: Category : Economics Languages : en Pages : 302
Book Description
This dissertation consists of three essays on financial economics, focusing on different types of financial and economic risks and covering different geographical regions. These risk types are related to stock, bond and commodity markets, financial stress and country risk ratings. The first essay investigates directional relationships, regime variances, transition probabilities and expected regime durations for two systems of economic and financial variables. The first system consists of daily series which include credit and market risks. The second system is based on monthly data, and encompasses credit, and market risks and economic activity and oil variables. The methodology is based on the Markov-Switching cointegrated VAR model. The results suggest there is a pronounced regime-specific behavior in both systems with FTP-MS model. There is a significant difference between the higher expected duration in the low volatility regime and the lower duration in the high volatility regime in both systems. Both models suggest that during the 2007/2008 Great Recession, the system stays mainly in regime 2 but returns to the normality state in the 2009 recovery period. The fundamental variables (industrial production, oil prices and the real interest rate) have varying effects in both regimes and both systems. Quantitative easing has significant effects on the bond expected volatility index MOVE in the high volatility regime and industrial production in both regimes. I also examine the driving forces of the time-varying transition probabilities and find that increases of oil price will decrease the probability that the financial markets stay in the low volatility regime. The second essay examines the asymmetric adjustments of the stock markets of the five BRICS countries (Brazil, Russia, India, China and South Africa) to changes in the economic, financial and political country risk ratings of these countries in the short run and long run, using the momentum threshold autoregression (MTAR) and the vector error-correction(VEC) models. The findings suggest that the long-run relationships between these four variables respond asymmetrically depending on the direction of the shocks. The adjustment is faster when the spread between the actual level of stock market index and the level suggested by country risk ratings is narrowing than when it is widening, except for Russia which has the opposite response. The Chinese stock market seems to have the fastest adjustments in the short-and long-run among those of the five BRICS. In terms of the three country risk ratings the financial risk ratings for the five BRICS show the most responsiveness to all the variables in the long-run, while the political risk ratings exhibit the least. The economic and political risk ratings show the fastest adjustments for Brazil, while the financial risk rating is most pronounced in Russia. The third essay examines the Value-at-Risk for ten euro-zone equity markets individually and when divided into two groups: PIIGS and the Core, employing four VaR estimation methods. The results are evaluated according to four statistical properties as well as the Basel capital requirements for the period including the 2007/2008 financial crisis. The estimation and the evaluation are applied to the individual assets as well as to the portfolios consisting of the two groups. The results demonstrate that the CEVT method applied to the ten individual equity assets meet all the statistical criteria the best. The two optimal equity portfolios do not show diversification benefits as the PIIGS portfolio selects Spain's IBEX only and that of the Core opts for Austria's ATX only. The asset class-augmented portfolio that includes the Austrian (ATX) index, oil and gold gives the highest diversification gains. Adding other commodities such as corn and silver, or commodities indices to the augmented portfolio does not enhance the gains. At the optimal portfolio level, the Duration-Peak-Over-the-Threshold (DPOT) is recommended the best in terms of satisfying the Basel rules.
Author: Tengdong Liu Publisher: ISBN: Category : Economics Languages : en Pages : 302
Book Description
This dissertation consists of three essays on financial economics, focusing on different types of financial and economic risks and covering different geographical regions. These risk types are related to stock, bond and commodity markets, financial stress and country risk ratings. The first essay investigates directional relationships, regime variances, transition probabilities and expected regime durations for two systems of economic and financial variables. The first system consists of daily series which include credit and market risks. The second system is based on monthly data, and encompasses credit, and market risks and economic activity and oil variables. The methodology is based on the Markov-Switching cointegrated VAR model. The results suggest there is a pronounced regime-specific behavior in both systems with FTP-MS model. There is a significant difference between the higher expected duration in the low volatility regime and the lower duration in the high volatility regime in both systems. Both models suggest that during the 2007/2008 Great Recession, the system stays mainly in regime 2 but returns to the normality state in the 2009 recovery period. The fundamental variables (industrial production, oil prices and the real interest rate) have varying effects in both regimes and both systems. Quantitative easing has significant effects on the bond expected volatility index MOVE in the high volatility regime and industrial production in both regimes. I also examine the driving forces of the time-varying transition probabilities and find that increases of oil price will decrease the probability that the financial markets stay in the low volatility regime. The second essay examines the asymmetric adjustments of the stock markets of the five BRICS countries (Brazil, Russia, India, China and South Africa) to changes in the economic, financial and political country risk ratings of these countries in the short run and long run, using the momentum threshold autoregression (MTAR) and the vector error-correction(VEC) models. The findings suggest that the long-run relationships between these four variables respond asymmetrically depending on the direction of the shocks. The adjustment is faster when the spread between the actual level of stock market index and the level suggested by country risk ratings is narrowing than when it is widening, except for Russia which has the opposite response. The Chinese stock market seems to have the fastest adjustments in the short-and long-run among those of the five BRICS. In terms of the three country risk ratings the financial risk ratings for the five BRICS show the most responsiveness to all the variables in the long-run, while the political risk ratings exhibit the least. The economic and political risk ratings show the fastest adjustments for Brazil, while the financial risk rating is most pronounced in Russia. The third essay examines the Value-at-Risk for ten euro-zone equity markets individually and when divided into two groups: PIIGS and the Core, employing four VaR estimation methods. The results are evaluated according to four statistical properties as well as the Basel capital requirements for the period including the 2007/2008 financial crisis. The estimation and the evaluation are applied to the individual assets as well as to the portfolios consisting of the two groups. The results demonstrate that the CEVT method applied to the ten individual equity assets meet all the statistical criteria the best. The two optimal equity portfolios do not show diversification benefits as the PIIGS portfolio selects Spain's IBEX only and that of the Core opts for Austria's ATX only. The asset class-augmented portfolio that includes the Austrian (ATX) index, oil and gold gives the highest diversification gains. Adding other commodities such as corn and silver, or commodities indices to the augmented portfolio does not enhance the gains. At the optimal portfolio level, the Duration-Peak-Over-the-Threshold (DPOT) is recommended the best in terms of satisfying the Basel rules.
Author: Graham Bird Publisher: Springer ISBN: 1349095885 Category : Business & Economics Languages : en Pages : 308
Book Description
This collection of articles and papers has been organised under a limited number of specific themes in international financial economics, including balance of payment theory and policy, the activities of the IMF, Special Drawing Rights, the role of the private financial markets, and the international economic order. A unifying theme running through all the essays is that some degree of management of international financial affairs is desirable. The book has a strong policy orientation and should be of interest to students and practitioners of international financial economics alike.
Author: Soodabeh Sarafrazi Publisher: ISBN: Category : Economics Languages : en Pages : 284
Book Description
My dissertation is titled "Economic and Financial Risks in Different Asset Classes and Different Regions," which encompasses three essays on economic activity and financial risks for the United States, interactions between Islamic and conventional stock markets, and downside risks and optimal diversified equity, bond and commodity portfolios for the PIIGs and CORE of the eurozone. The dissertation investigates migration and cascading of the different kinds of risks in the respected financial markets or regions in an economic policy uncertainty and financial stress environment.
Author: Jorge Mario Uribe Gil Publisher: ISBN: Category : Languages : en Pages : 179
Book Description
This thesis adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled "Momentum Uncertainties", I study the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market. I show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, "Measuring Uncertainty in the Stock Market", I propose a new index for measuring stock market uncertainty on a daily basis. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, I analyze the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others. In chapter 4: "Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?", I explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, I provide a new simple tool for measuring the resilience of financial institutions to these systemic shocks. My contribution to the literature in this essay is mainly the examination of the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is new to the literature and is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, "Currency downside risk, liquidity, and financial stability", I analyze downside risk propagation across global currency markets and the ways in which it is related to liquidity. I make two primary contributions to the literature. First, I estimate tail-spillovers between currencies in the global FX market. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, I show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled "Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis". This essay contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. I focus the analysis carried out in this chapter on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. I documented smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles. -- TDX.
Author: Ann Blair Kloman Publisher: Xlibris Corporation ISBN: 1450045707 Category : Philosophy Languages : en Pages : 133
Book Description
The Fantods of Risk is a collection of essays from the pages of Risk Management Reports, which the author edited, wrote and published from 1974 through 2007, plus several other published articles. The subject is risk management, a discipline for dealing with uncertainty in our personal and organizational lives. They continue the author’s contrary and challenging approach to managing risk, first started in Risk Management Reports and later in Mumpsimus Revisited, published in 2005.
Author: H. Felix Kloman Publisher: Xlibris Corporation ISBN: 1436302269 Category : Business & Economics Languages : en Pages : 133
Book Description
The Fantods of Risk is a collection of essays from the pages of Risk Management Reports, which the author edited, wrote and published from 1974 through 2007, plus several other published articles. The subject is risk management, a discipline for dealing with uncertainty in our personal and organizational lives. They continue the author's contrary and challenging approach to managing risk, first started in Risk Management Reports and later in Mumpsimus Revisited, published in 2005.
Author: George M. Frankfurter Publisher: World Scientific ISBN: 9812770003 Category : Business & Economics Languages : en Pages : 238
Book Description
The current literature on financial economics is dominated by neoclassical dogma and, supposedly, the notion of value-neutrality. However, the failure of neoclassical economics to deal with real financial phenomena suggests that this might be too simplistic of an approach. This book consists of a collection of essays dealing with financial markets'' imperfections, and the inability of neoclassical economics to deal with such imperfections. Its central argument is that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face. It also shows the direct relationship between economics and politics OCo something that is usually denied in academic models, given that science is supposed to be value-neutral. In this thought-provoking and avant-garde book, the author not only exposes what has gone wrong, but also suggests reforms to both the academic and the political-economic systems that might help make markets fair rather than efficient. Drawing on interdisciplinary fields, this book will appeal to readers who are interested in finance, economics, business, the political economy and philosophy. Sample Chapter(s). Foreword (37 KB). Chapter 1: Method and Methodology (146 KB). Contents: Method and Methodology; What is All Efficiency?; Still Autistic Finance; The Young Finance Faculty''s Guide to Publishing; Prolific Authors in Finance; For-Profit Education: An Idea That Should be Put to Rest?; Weep Not for Microsoft: Monopoly''s Fatal Exception; The Socio-Economics of Scandals; Desperately Seeking Toto; And Now for Something Entirely Different; After the Ball; Capitalism or Industrial Fiefdom; The Theory of Fair Markets (TFM): Toward a New Finance Paradigm. Readership: Graduate students of finance; students of economics, economic methodology and philosophy of science."
Author: Roberto Dieci Publisher: Springer ISBN: 3319074709 Category : Business & Economics Languages : en Pages : 384
Book Description
This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Author: Tengdong Liu
Author: Tengdong Liu
Author: Lin Zou
Author: Graham Bird
Author: Soodabeh Sarafrazi
Author: Jorge Mario Uribe Gil
Author: Jens Dietrich Hilscher
Author: Ann Blair Kloman
Author: H. Felix Kloman
Author: George M. Frankfurter
Author: Roberto Dieci